As a Market Risk Analyst, you will use your industry and market expertise to provide advice on possible investments.
The Role Responsibilities
- You will develop market risk models and tools under current IMA and FRTB.
- You will develop Risk Not in VaR (RniV) measures.
- You will provide technical guidance and expertise on Market Risk Model related matters
- You will conduct Analysis key model performance metrics such as hypothetical backtesting and P&L attribution test (PLAT).
- You will also be supporting the risk managers in all queries related to VaR and other portfolio risk metrics
- You will test production systems for VaR/ES model changes, system migrations, and new products
Our Ideal Candidate
- You must have at least a Master’s degree in a quantitative scientific subject including statistics and a research element
- You must have academic and/or professional experience in data analysis and simulation methods.
- You have a good understanding of market risk and traded products
- You exercise sound judgment in assessing the strengths and weaknesses of modeling approaches
- You should be able to communicate technical concepts clearly both verbally and in written documents
- You possess strong computing skills (programming skills desirable)
- You learn quickly
- You are able to forge good working relationships with his/her peers in Singapore and UK